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Agricultural arbitrage and risk preferences

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  • Pope, Rulon D.
  • LaFrance, Jeffrey T.
  • Just, Richard E.

Abstract

A structural intertemporal model of agricultural asset arbitrage equilibrium is developed and applied to agriculture in the North Central region of the US. The data are consistent with a unifying level of risk aversion. The levels of risk aversion are more plausible than previous estimates for agriculture. However, the standard arbitrage equilibrium is rejected; perhaps, this is due to the period and the shortness of the period studied.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 162 (2011)
Issue (Month): 1 (May)
Pages: 35-43

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Handle: RePEc:eee:econom:v:162:y:2011:i:1:p:35-43

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Web page: http://www.elsevier.com/locate/jeconom

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Keywords: Arbitrage Risk aversion Agriculture;

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References

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Cited by:
  1. Zuo, Alec & Nauges, Celine & Wheeler, Sarah, 2012. "Water trading as a risk-management tool for farmers: new empirical evidence from the Australian water market," Risk and Sustainable Management Group Working Papers 149885, University of Queensland, School of Economics.
  2. Femenia, Fabienne & Alexandre, Gohin, 2009. "Dynamic modelling of agricultural policies: the role of expectation schemes," 2009 Conference, August 16-22, 2009, Beijing, China 51665, International Association of Agricultural Economists.
  3. Cao, Ruixuan & Carpentier, Alain & Gohin, Alexandre, 2011. "Measuring farmers’ risk aversion: the unknown properties of the value function," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland 114623, European Association of Agricultural Economists.
  4. Jesse Tack & Rulon Pope & Jeffrey LaFrance & Timothy Graciano & Scott Colby, 2012. "Intertemporal Risk Management in Agriculture," Development Research Unit Working Paper Series 16-12, Monash University, Department of Economics.

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